MaximumPortfolioDrawdownFrameworkAlgorithm.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System.Collections.Generic;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Interfaces;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Show example of how to use the <see cref="MaximumDrawdownPercentPortfolio"/> Risk Management Model
    /// </summary>
    public class MaximumPortfolioDrawdownFrameworkAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        public override void Initialize()
        {
            // Set requested data resolution
            UniverseSettings.Resolution = Resolution.Minute;

            SetStartDate(2013, 10, 07);  //Set Start Date
            SetEndDate(2013, 10, 11);    //Set End Date
            SetCash(100000);             //Set Strategy Cash

            // set algorithm framework models
            SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)));
            SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, System.TimeSpan.FromMinutes(20), 0.025, null));
            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
            SetExecution(new ImmediateExecutionModel());

            // define risk management model as a composite of several risk management models
            SetRiskManagement(new CompositeRiskManagementModel(
                new MaximumDrawdownPercentPortfolio(0.01m), // Avoid loss of initial capital
                new MaximumDrawdownPercentPortfolio(0.015m, true) // Avoid profit losses
            ));
        }

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
        /// </summary>
        public bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public Language[] Languages { get; } = { Language.CSharp, Language.Python };

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Trades", "5"},
            {"Average Win", "0%"},
            {"Average Loss", "-0.52%"},
            {"Compounding Annual Return", "246.602%"},
            {"Drawdown", "2.300%"},
            {"Expectancy", "-1"},
            {"Net Profit", "1.602%"},
            {"Sharpe Ratio", "8.065"},
            {"Probabilistic Sharpe Ratio", "65.943%"},
            {"Loss Rate", "100%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "-0.157"},
            {"Beta", "1.015"},
            {"Annual Standard Deviation", "0.223"},
            {"Annual Variance", "0.05"},
            {"Information Ratio", "-27.079"},
            {"Tracking Error", "0.005"},
            {"Treynor Ratio", "1.772"},
            {"Total Fees", "$16.28"},
            {"Fitness Score", "0.999"},
            {"Kelly Criterion Estimate", "38.64"},
            {"Kelly Criterion Probability Value", "0.229"},
            {"Sortino Ratio", "79228162514264337593543950335"},
            {"Return Over Maximum Drawdown", "78.607"},
            {"Portfolio Turnover", "1.246"},
            {"Total Insights Generated", "100"},
            {"Total Insights Closed", "99"},
            {"Total Insights Analysis Completed", "99"},
            {"Long Insight Count", "100"},
            {"Short Insight Count", "0"},
            {"Long/Short Ratio", "100%"},
            {"Estimated Monthly Alpha Value", "$126657.6305"},
            {"Total Accumulated Estimated Alpha Value", "$20405.9516"},
            {"Mean Population Estimated Insight Value", "$206.1207"},
            {"Mean Population Direction", "54.5455%"},
            {"Mean Population Magnitude", "54.5455%"},
            {"Rolling Averaged Population Direction", "59.8056%"},
            {"Rolling Averaged Population Magnitude", "59.8056%"},
            {"OrderListHash", "56fbd2472e29ca1d19e59c323eb6c877"}
        };
    }
}